Long Memory Property In Return and Volatility: Evidence from the Indian Stock Markets

Abstract

The paper examines the existence of long memory in the Indian stock market using ARFIMA, FIGARCH models. The data set consists of daily return of BSE and NSE stock indices and long memory tests are carried out both for the returns and volatilities of these series. The results of ARFIMA model suggests the absence of long memory in return series of the Indian stock market. The results of FIGARCH model indicate strong evidence of long memory in conditional variance of the stock indices. The long memory property of the BSE market is revealed to be stronger than NSE.